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correlation

function correlation(x1,x2,w,mask) result(corr)
  implicit none
  real(kind=8)            :: corr    ! output: correlation coefficient between x1 and x2
  real(kind=8)            :: x1(:)   ! input: first variable
  real(kind=8)            :: x2(:)   ! input: second variable
  real(kind=8) , optional :: w(:)    ! input: (optional) weights
  logical      , optional :: mask    ! input: (optional) retrictions on observations

This function returns the correlation coefficient between two (same size) vectors x1 and x2 given some (optional) weights w:

• If supplied, the vector w should have the same size as x1 and x2.
• If not supplied, the program assumes uniform weigthing:

The user can also supply a mask to compute the conditional correlation. The variable mask is a logical array of the same size of x1 and x2 indicating which observations should be considered.

Internal dependencies: varmean, varstd, error

Example

corr = correlation(x1,x2,mask = x1.gt.0.0d0 .and. x2.lt.5.0d0)

This computes the correlation between vectors x1 and x2 only for those pair of points that satify the condition x1$>0$ and x2$<5$.